User math

7 votes

Downward Sloping Swap Spread Curve

answered Dec 4, 2020 at 8:29

1 vote

Accepted

Why is this utility function not picking up its penalty?

answered Jul 13, 2017 at 13:06

7 votes

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SABR Calibration: Normal vs Log-Normal Market Data

answered Aug 1, 2016 at 12:05

1 vote

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Book recommendation on robust optimization

answered Dec 6, 2014 at 16:57

2 votes

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How to derive equivalent martingale measure using Ito's Lemma

answered May 17, 2014 at 8:36

3 votes

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Time-zero price of two specific contingent claims

answered Jan 25, 2014 at 22:00

5 votes

Black--Scholes hedging argument

answered Jul 24, 2013 at 12:32

7 votes

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On short-rate-models: Black-Karasinski (with constant parameters) compared to Vasicek

answered Jul 8, 2013 at 11:41

2 votes

Accepted

Formula for variance of European call/put in Black Scholes

answered Jun 28, 2013 at 9:57

7 votes

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In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?

answered Apr 24, 2013 at 6:56

4 votes

Accepted

Auto-correlation of GBM

answered Apr 10, 2013 at 16:51

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11 Answers

Downward Sloping Swap Spread Curve

Why is this utility function not picking up its penalty?

SABR Calibration: Normal vs Log-Normal Market Data

Book recommendation on robust optimization

How to derive equivalent martingale measure using Ito's Lemma

Time-zero price of two specific contingent claims

Black--Scholes hedging argument

On short-rate-models: Black-Karasinski (with constant parameters) compared to Vasicek

Formula for variance of European call/put in Black Scholes

In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?

Auto-correlation of GBM